The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (Q5890187)

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scientific article; zbMATH DE number 1582843
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The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
scientific article; zbMATH DE number 1582843

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    The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets (English)
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    29 March 2001
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    martingales
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    equivalent martingale measures
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    relative entropy
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    incomplete markets
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    asset pricing
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